Multifractal Detrended Cross-correlation Analysis of Market Clearing Price of electricity and SENSEX in India

Dipak Ghosh, Srimonti Dutta and Sayantan Chakraborty

Physica A: Statistical Mechanics and its Applications, 2015, vol. 434, issue C, 52-59

Abstract: This paper reports a study on the cross-correlation between the electric bid price and SENSEX using Multifractal Detrended Cross-correlation Analysis (MF-DXA). MF-DXA is a very rigorous and robust technique for assessment of cross-correction between two non-linear time series. The study reveals power law cross-correlation between Market Clearing Price (MCP) and SENSEX which suggests that a change in the value of one can create a subjective change in the value of the other.

Keywords: Multifractals; Electricity bid price; Stock index; Auto-correlation; Cross-correlation; Multifractal width (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:434:y:2015:i:c:p:52-59

DOI: 10.1016/j.physa.2015.03.082

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